We can't really answer this question without first asking the questions - What are we made of? And where did "we" come from, which can also be asked as what caused the big bang?

Here are some of the pieces of the puzzle we got so far:

Thanks to Einstein, science agrees that we are made of energy (e=mc2).

We also know that energy can't be created nor destroyed it can only transmute from one state to another.

String theory proposes that, at the quantum level, everything is made of tiny strings of energy, vibrating at different frequencies.

The double slit experiment shows some weird interaction between the observer (consciousness) and electrons.

Now for the controversial bit, my own extrapolation of all of this is that I wouldn't be too surprised if we end up discovering that matter = energy = consciousness. To what extent our personal lifetime consciousness/energy would remain differentiated from the rest after death is anyone's guess. We have only the personal testimony of people who claim to have experienced near death.

One of the most interesting is the testimony of Jill Bolte Tailor, a brain scientist who experienced the shutting down of her own brain during a stroke. TED talk here.

Another testimony of a near death experience is the one of Dr Steven Greer MD where he talks about leaving his body, going to outer space and experiencing what he describes as "cosmic consciousness".

To answer your original question we'll have to inevitably answer the questions of the very core of our existence. These are the pieces (or not) of the puzzle I'm aware of so far. The quest continues.